Study: Sell HEXAWARE when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HEXAWARE when there is Bearish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HEXAWARE at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-28027.9158263244.833964.815400.84-4097.27-15263.160.970.79-0.022-483.24
2-75879.3558193932.767620.3732879.82-5658.11-20585.271.350.66-0.036-1308.26
3-17910558193932.767566.1718683.65-8278.52-29407.620.910.45-0.074-3088.02
4-11746358243441.387086.5828131.02-8457.08-36369.680.840.59-0.045-2025.22
5-112310582929507685.225736.96-11557.96-43484.040.660.66-0.036-1936.38
6-47028.03582929508502.1124149.66-10123.76-35970.740.840.84-0.016-810.83
7-14351058263244.8310089.9225736.43-12682.75-68351.060.80.65-0.037-2474.31
8-18120258263244.8311687.4830400-15158.64-69481.380.770.63-0.041-3124.17
9-23363158233539.6613765.1539484.06-15720.85-1174200.880.58-0.043-4028.12
10-22377858233539.6613485.2931028.31-15255.41-94880.320.880.58-0.046-3858.23
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail24.65-72657.2969244534.7812833.9830504.82-8459.4-25539.381.520.81-0.021-1053
atrtrail35.29-91477.6769234633.331259839343.47-8287.65-25539.381.520.76-0.025-1325.76
atrnil25.94-17196369195027.5419165.9133723.48-10722.31-25539.381.790.68-0.042-2492.22
atrnil38.28-19332569145520.2928117.8750585.22-10672.27-25539.382.630.67-0.041-2801.81
atrtrail-15.51-20170069214830.439127.0731073.23-8195.17-25539.381.110.49-0.071-2923.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 34.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.53%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HEXAWARE Performance, Profit Factor:0.809

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Jul 2019 (2.07%), 06 Sep 2019 (0.83%)
2018518 Jan 2018 (-2.78%), 05 Feb 2018 (6.91%), 04 May 2018 (-4.75%), 05 Jun 2018 (-4.64%), 25 Jul 2018 (-4.07%)
2017409 Mar 2017 (-2.01%), 23 May 2017 (-3.3%), 24 May 2017 (-3.51%), 20 Nov 2017 (0.52%)
2016229 Sep 2016 (-2.96%), 06 Oct 2016 (1.15%)
2015417 Apr 2015 (-3.3%), 20 Apr 2015 (0.85%), 11 Aug 2015 (-1.99%), 14 Oct 2015 (-3.94%)
2014420 Jan 2014 (7.54%), 29 Apr 2014 (10.57%), 08 Oct 2014 (10.0%), 25 Nov 2014 (-3.76%)
2013524 Jan 2013 (-4.95%), 25 Jan 2013 (2.33%), 07 Aug 2013 (-4.12%), 05 Sep 2013 (-0.61%), 24 Oct 2013 (-1.27%)
2012524 Feb 2012 (-2.08%), 02 Mar 2012 (-1.87%), 18 Sep 2012 (7.03%), 16 Nov 2012 (0.43%), 07 Dec 2012 (9.93%)
2011211 Jan 2011 (10.86%), 08 Aug 2011 (-3.58%)
2010231 Mar 2010 (-1.81%), 21 Jul 2010 (-2.24%)
2009625 Feb 2009 (6.27%), 28 Apr 2009 (-8.94%), 11 May 2009 (-8.84%), 11 Jun 2009 (-3.93%), 21 Aug 2009 (-6.96%), 28 Aug 2009 (13.11%)
2008512 Feb 2008 (-3.5%), 07 Mar 2008 (-4.88%), 02 May 2008 (-6.08%), 23 Jun 2008 (-6.02%), 27 Oct 2008 (-12.77%)
2007122 Nov 2007 (11.22%)
2006724 Jan 2006 (-0.95%), 15 Feb 2006 (-5.0%), 16 Feb 2006 (0.27%), 10 Mar 2006 (-4.04%), 07 Apr 2006 (8.85%), 24 Aug 2006 (10.06%), 25 Sep 2006 (-5.27%)
2005228 Feb 2005 (9.0%), 22 Sep 2005 (-6.05%)
2004205 Aug 2004 (-1.8%), 26 Aug 2004 (7.71%)
2003921 Jan 2003 (15.25%), 07 Jul 2003 (-2.85%), 15 Jul 2003 (-5.42%), 16 Jul 2003 (-5.22%), 14 Aug 2003 (-6.47%), 12 Sep 2003 (1.24%), 21 Oct 2003 (-6.7%), 22 Oct 2003 (-1.64%), 26 Dec 2003 (-3.94%)
2002224 Sep 2002 (-8.69%), 13 Dec 2002 (-0.8%)



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